During BLE Advertising, the device cannot be in sleep mode, as the transceiver is turned off during any of the low-power modes. Depending on the low-power mode, transceiver digital logic is either power-gated, or has its state retained.
As for which specific power mode should be implemented for the time when the MCU is not advertising, it will vary depending on the capabilities which you wish to retain during this time, as well as the wake-up sources.
Chapter 8 of the MKW36/35/34 Reference Manual contains Table 8-2, which describes each of the modules' operation conditions for every power mode.
Please let me know if you need any more information.